Affine Dunkl processes of type
We introduce the analogue of Dunkl processes in the case of an affine root system of type . The construction of the affine Dunkl process is achieved by a skew-product decomposition by means of its radial part and a jump process on the affine Weyl group, where the radial part of the affine Dunkl process is given by a Gaussian process on the ultraspherical hypergroup . We prove that the affine Dunkl process is a càdlàg Markov process as well as a local martingale, study its jumps, and give a martingale...